The linking mechanism with the 'jump to' feature only works for link symbols, but these are just 'annotate' type symbols, which, apart from hierchical connections, may be used for inter-page and intra-page connectors. So if you are not concerned with traversing hierarchy then use annotate symbols for inter-page (between sheets) and a different symbol for intra-page (across the same sheet). For more of a dicsussion on the use of inter and intra page connections take a look at the discussions on DRC-121

As an aside, when you post a question please mark the post specifically as a question. You will be prompted by the tool to do so and have 15 minutes to change the status to a question. This helps other users find answers to their questions as once the question is answered you can mark it answered satisfactorily.